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(Calculate implied volatility) The risk-free rate is 2.25% per annum with continuous compounding, the dividend yield is 2.60% per annum with continuous compounding, the price
(Calculate implied volatility)
The risk-free rate is 2.25% per annum with continuous compounding, the dividend yield is 2.60% per annum with continuous compounding, the price of a 1-year gold futures contract is $1350 per ounce, and the price of gold is $1300 per ounce. Calculate implied volatility for the following futures options on gold with nine-months to maturity.
Call Call Implied Volatility Put prices prices Put Implied Volatility ($) (S) K=1250 K=1300 K=1350 75.87 99.99 202.50 155.75 110.32 84.95 145.55 K=1400 180.01 Call Call Implied Volatility Put prices prices Put Implied Volatility ($) (S) K=1250 K=1300 K=1350 75.87 99.99 202.50 155.75 110.32 84.95 145.55 K=1400 180.01
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